Hazard rate and reversed hazard rate monotonicities in continuous-time Markov chains. (English) Zbl 0917.60067

Kijima, Masaaki

J. Appl. Probab. 35, No. 3, 545-556 (1998).

Summary: A continuous-time Markov chain on the non-negative integers is called skip-free to the right (left) if only unit increments to the right (left) are permitted. If a Markov chain is skip-free both to the right and to the left, it is called a birth-death process. S. Karlin and J. McGregor [Proc. Natl. Acad. Sci. USA 45, 375-379 (1959; Zbl 0204.20701)] showed that if a continuous-time Markov chain is monotone in the sense of likelihood ratio ordering, then it must be an (extended) birth-death process. This paper proves that if an irreducible Markov chain in continuous time is monotone in the sense of hazard rate (reversed hazard rate) ordering, then it must be skip-free to the right (left). A birth-death process is then characterized as a continuous-time Markov chain that is monotone in the sense of both hazard rate and reversed hazard rate orderings. As an application, the first-passage-time distributions of such Markov chains are also studied.

MSC:

60J35	Transition functions, generators and resolvents
60J27	Continuous-time Markov processes on discrete state spaces

Keywords:

monotone Markov chain; birth-death process; stochastic ordering; first-passage-time distribution

Citations:

Zbl 0204.20701